The identification of beliefs from asset demand

Felix Kubler and Herakles Polemarchakis

No 270007, Economic Research Papers from University of Warwick - Department of Economics

Abstract: The demand for assets as prices and initial wealth vary identifies beliefs and attitudes towards risk. We derive conditions that guarantee identification with no knowledge either of the cardinal utility index or of the distribution of future endowments or payoffs of assets; the argument applies even if the asset market is incomplete and demand is observed only locally.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 27
Date: 2015-10-10
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Persistent link: https://EconPapers.repec.org/RePEc:ags:uwarer:270007

DOI: 10.22004/ag.econ.270007

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